FRSGlobal, part of Wolters Kluwer Financial Services and a provider of compliance and risk management solutions for the financial services industry, said it will be providing advanced replication portfolio modelling techniques within its solutions in the first quarter of 2011.

FRSGlobal has said that the sight and saving deposits within retail banks have a non-maturity profile i.e. the customer can withdraw the money at any point in time. In order to capture the financial risk of such positions, replication portfolio techniques are applied based on empirical evidence of the firms’ data or sometimes on peer group data evidence.

The replication portfolios offered by FRSGlobal will allow treasury departments to manage the financial risk, namely the interest rate risk of these types of deposits, which are a significant funding source for retail banks.

FRSGlobal claims that the offering will allow banks to integrate replication portfolio models that are built within the solution with easy to use configurations. Users will benefit from its business expertise in risk management and from its risk models as well as pre-defined models that are rich in content and able to meet real business demands.

FRSGlobal product management head Thomas Brouwer said the solutions incorporate advanced techniques that will enable a broad variety of replication model parameterization.

"This will allow in-built creation of replication portfolios as well as the in-built calculation of value adjustments over time – especially including replication portfolio parameter adjustments. This new functionality within our powerful risk solutions will ease the workload of treasury departments and support them in their predictive analysis along its business strategies and market scenarios," Brouwer said.